The effect of ECB forward guidance on policy expectations

Paul Hubert and Fabien Labondance
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Fabien Labondance: OFCE-Sciences Po - Université de Bourgogne Franche-Comté- CRESE

No 2016-30, Documents de Travail de l'OFCE from Observatoire Francais des Conjonctures Economiques (OFCE)

Abstract: This paper investigates the instantaneous and dynamic effects of ECB forward guidance announcements on the term structure of private short-term interest rate expectations. We estimate the static and dynamic impact of forward guidance on private agents’ expectations about future short-term interest rates using a high-frequency methodology and an ARCH model, complemented with local projections. We find that ECB forward guidance announcements decrease most of the term structure of private short-term interest rate expectations, this being robust to several specifications. The effect is stronger on longer maturities and persistent.

Keywords: Central Bank communication; Interest-rate expectations; OIS (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Date: 2016-10
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (2)

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http://www.ofce.sciences-po.fr/pdf/dtravail/WP2016-30.pdf (application/pdf)

Related works:
Working Paper: The Effect of ECB Forward Guidance on Policy Expectations (2016)
Working Paper: The effect of ECB forward guidance on policy expectations (2016)
Working Paper: The Effect of ECB Forward Guidance on Policy Expectations (2016)
Working Paper: The effect of ECB forward guidance on policy expectations (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:fce:doctra:1630

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